non linear optimization problem
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Hi, I encountered one optimization question like this
maximize R' *Log(w)
subject to w' *cov*w<=0.1 and w>=0
where R is a nx1 vector (given), w is one nx1 vector (to be solved), cov is a n x n matrix (given).
It seems it's not a standard question to be solved by optimizer, is there anyone to give me some hints, thanks!
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It seems it's not a standard question to be solved by optimizer
Why do you say that? What would be considered a "standard question"?
If R>=0, then it is a convex optimization problem and should be very easy to solve. Try FMINCON.
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